2014年8月
International stock market efficiency: a non-Bayesiantime- varying model approach
APPLIED ECONOMICS
- ,
- ,
- 巻
- 46
- 号
- 23
- 開始ページ
- 2744
- 終了ページ
- 2754
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1080/00036846.2014.909579
- 出版者・発行元
- ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
This article develops a non-Bayesian methodology to analyse the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviours correspond well to historical events of the international financial system.
- リンク情報
- ID情報
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- DOI : 10.1080/00036846.2014.909579
- ISSN : 0003-6846
- eISSN : 1466-4283
- Web of Science ID : WOS:000335849200004